There are two ways to do this.
First,
you can put it in the themes directory with the distribution.
During the install it will be copied to the themes directory (by default,
/usr/local/slash/themes/.
The second option is to copy it in there yourself.
The directory layout is very important with themes.
The install expects to find a sql directory with a mysql and postgresql directory in it.
It expects a templates directory with templates in it and finally it expects an htdocs directory.
It copies files directly from htdocs to the install's directory.
Look at the slashcode theme as an example.